This qualitative survey is addressed to all institutions which use the IRB approach for credit risk. It contains detailed questions about banks' modelling practices for estimating PDs, LGDs, LGD in-default and expected loss best estimate (ELBE). The main objective of this survey is to assess the impact of the Guidelines in terms of expected amount and severity of model changes.
All institutions using the Internal Ratings Based (IRB) approach for credit risk are invited to participate in the survey.
To ensure that the EBA gains insight into modelling practices across all exposure classes -both high- and low-default portfolios – and receives feedback from a representative sample of models, institutions are invited to fill in the survey for at least their three main PD and LGD models.